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When Hamlet sees the ghost, it looks so much like his father that he is overwhelmed with the desire to talk to it. He wants to know why his father's body, quietly buried, has been cast up again to walk on the earth. As we know, he deeply misses and mourns his father and seeing his form again fills him with an overwhelming longing to talk to it, as suggested by his anguished exclamation: "O, Answer me!" As Hamlet puts it:
Be thy intents wicked or charitable,
Thou comest in such a questionable [curiosity/question raising ] shape
That I will speak to thee. I’ll call thee “Hamlet,”
“King,” “Father,” “royal Dane.” O, answer me!
Let me not burst in ignorance, but tell
Why thy canonized bones, hearsed in death,
Have burst their cerements
Wherein we saw thee quietly interred,
Hath oped his ponderous and marble jaws
To cast thee up again.
Hamlet asks the ghost what it wants to do now. The ghost beckons him to follow him away from the other two to talk privately. Horatio and Marcellus try very hard to stop Hamlet from going. Horatio asks him, what if it's a trick? What if he gets you alone and finds a way to kill you? Hamlet says he has no reason to feel fear, as his life doesn't matter to him. He also notes that the ghost can't hurt his soul, which is immortal:
Why, what should be the fear?
I do not set my life in a pin’s fee,
And for my soul—what can it do to that,
Being a thing immortal as itself?
At this point, the two men, very frightened of the ghost, try to physically block Hamlet from following, but he draws his sword and says he will make a ghost of anyone who tries to hold him back. He states:
My fate cries out . . .
Horatio and Marcellus stand aside. Hamlet follows the ghost because his deepest desire, more important to him even than his life, is to talk to his beloved father again and find out what is going on and why he is there. His deepest wish, to see and speak to his father again, is about to be fulfilled, and nothing is going to stop him from having the encounter. He is in a very heightened emotional state.
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This section of the play comes in Act I scene 4. We are told that the Ghost, when it appears before Marcellus, Horatio and Hamlet, does its best to try and beckon Hamlet to go away with it by himself. Horatio says it is as if "some impartment did desire / To you alone." From their perspective, it seems as if the Ghost wants Hamlet to be with him alone so that it can tell him something. For Hamlet, the fact that it will not speak at this stage means that he will follow it. He is obviously incredibly curious as to why the Ghost has appeared, and in particular, what news it wishes to share with Hamlet. We have been told by Marcellus already that "something is rotten in the state of Denmark," and this combined with Hamlet's grief over his father suggests that Hamlet already at some level suspects that something might not be right with the way that his father died. Thus seeing the Ghost, with the possibility that his father might not rest easy in his grave, would have made Hamlet desperate to know the truth, ready to risk anything.

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Why does Hamlet believe in the ghost in Shakespeare's Hamlet?

A dash of the supernatural was expected by Elizabethan audiences, who strongly believed in the influence of the other world.  Also, in the Chain of Being in which the Elizabethan world found order, the king is an embodiment of God on earth, so there is a close connection between King Hamlet and the supernatural of which Hamlet would be aware. 

The ghost of King Hamlet is, thus, entirely believable to Hamlet.  Further, Hamlet would give credence to the ghost of his father since "there is something rotten in Denmark" and he suspects foul play in King Hamlet's death.  That his father's ghost would appear to him, seeking retribution for his murder is logical to Hamlet, the Prince of Denmark.

Another condition of Hamlet's that allows for his acceptance of the ghost is his sensitive and pensive nature.  Certainly, a person who is given to much existential examination allows for the influence of other circumstances of existence.  Not only does Hamlet perceive the ghost and hear it speak, but he feels its presence, as well, as he proceeds through his examinations of conscience and ponderings of the value of life.

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